Calculation of multidimensional stable densities
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Publication:4859856
DOI10.1080/03610919508813258zbMath0850.60007OpenAlexW2061862636WikidataQ57452143 ScholiaQ57452143MaRDI QIDQ4859856
John P. Nolan, Balram S. Rajput
Publication date: 15 January 1996
Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610919508813258
Infinitely divisible distributions; stable distributions (60E07) Characterization and structure theory of statistical distributions (62E10) Probabilistic methods, stochastic differential equations (65C99)
Related Items (7)
Bayesian analysis of multivariate stable distributions using one-dimensional projections ⋮ Estimating multivariate heavy tails and principal directions easily, with an application to international exchange rates ⋮ Weak error for continuous time Markov chains related to fractional in time P(I)DEs ⋮ Multivariate stable densities as functions of one dimensional projections ⋮ Analytical-numeric formulas for the probability density function of multivariate stable and geo-stable distributions ⋮ Subordinated exchange rate models: Evidence for heavy tailed distributions and long-range dependence ⋮ Estimation of stable spectral measures
Cites Work
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- Approximation of multidimensional stable densities
- Nonlinear regression of stable random variables
- On the range of cumulative sums
- On some expansions of stable distribution functions
- Algorithm 542: Incomplete Gamma Functions [S14]
- On 1/ f noise and other distributions with long tails
- Cumulative distribution function values for symmetric standardized stable distributions
- Algorithm 706: DCUTRI: an algorithm for adaptive cubature over a collection of triangles
- Tables and graphs of the stable probability density functions
- Fractional Brownian Motions, Fractional Noises and Applications
- "Infinite Variance" and Research Strategy in Time Series Analysis
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